On the consistency of stationary Markov equilibria with an exogenous distribution

• 成果类型: Article
• 署名作者: Takeoka, N
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00116-9
• 发表日期: 2003
• 页码: 316-324
• 关键词: stationary markov equilibria; exogenous distributions

摘要

A technique to show the existence of stationary Markov equilibria is provided by Duffie, Geanakoplos, Mas-Colell and McLennan Econometrica 62 (1994) 745-781. In many applications, a state space is constructed as the product of a space of exogenous variables and a space of endogenous variables. In addition, the exogenous shock is given and is a Markov process with a transition probability and an initial distribution. Then their theorem does not ensure the existence of a stationary Markov equilibrium that is consistent with the exogenous distribution. In this paper, we give a sufficient condition for settling the inconsistency problem. (C) 2003 Elsevier Science (USA). All rights reserved.